Although the health benefits of exercise and exposure to nature are well established, most evidence of their interaction comes from acute observations of single sessions of activity. However, documenting improved health outcomes requires ongoing interventions, measurement of multiple outcomes, and longitudinal analyses. We conducted a pilot study to guide the development of a protocol for future longitudinal studies that would assess multiple physiological and psychological outcomes. Herein, we report psychological outcomes measured from thirty-eight participants before and after three conditions: a 50 min walk on a forest path, a 50 min walk along a busy road, and a period of activities of daily living. Changes in positive and negative affect, anxiety, perceived stress, and working memory are reported. We benchmark these results to existing studies that used similar protocols and also identify elements of the protocol that might impair recruitment or retention of subjects in longer-term studies. Linear mixed-models regression revealed that walking improved psychological state when compared to activities of daily living, regardless of walk environment (p < 0.05). Comparison of mean differences showed that forest walks yielded the largest and most consistent improvements in psychological state. Thus, despite a protocol that required a 3.5 h time commitment per laboratory visit, the beneficial effects of walking and exposure to a forested environment were observed.